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Of course you would need paths in a perfect world. Usually pdf and autocorrelations of strategy returns will be fine.

Portfolio of 6 strategies. Actually this is more around 150%/year as it is not always very easy to really compound geometrically.

This one gets my vote ! :D

I see, just another troll. Ignore list.

500 potential trades a day ? This sounds like your system is not really restrictive ! If one beats his own system, it just means he did not integrate all the variables he considers in his strategy.

0.4% a day, Sharpe ratio (if one can rely on that) around 5... Any more comments about backtesting ?

It is normal that stop-losses destroy value. In order to enhance a strategy using stop-losses, you need a distribution of strategy returns that is bi-modal (i.e. with two peaks) or very strong auto-correlations. If you don't want to take risks, don't trade ! The "rules of thumb" have just no...

Trading is a game of position and risk management. This means your root mean square error of prediction is not of real interest. Precision of your indicator should be measured with respect to timing, not following a path with minimal deviation. No one gets rewarded for following a path in the...

Some people here should learn what "random" means... It looks like a very bad prediction... I'm sorry

We perhaps better stop feeding this troll...

One can stop reading after that dumb sentence.... The market always goes up or down. it's all a matter of time scale. Microbiologist ? You mean truck driver ?

Full of wisdom. Definitely my answer too.

They are, believe me. Just backtest it.

It worked well on the last 43 days because there were a lot of "trend days" in the recent period...

As of today Bridgewater has 47bln$ in pure alpha strategy.

Why don't you backtest it ? If the result is positive, trade it, otherwise forget it. It is so simple.

Better watch the muppets show...

You seem to be very well informed...

Just send me money. I promise to spend it all... :cool: